Categories

The volatility index, or VIX once again closed under 12% last Friday. It has hovered in the range of 10-13% for the entire year of 2017, and really collapsed following the Presidential election, from a high in the low twenties. That seems eons ago, right? And with this low volatility comes frustration for those sitting on the sidelines waiting to get involved with the stock market. Volatility is compressed right now, but of course that will change at some point, but we'll[...]

The short end of the VXST – VIX – VXV – VXMT curve moved up while the longer end hardly budged. TYVIX is at 2017 lows going into FOMC week, but it appears equity volatility may be pricing in some uncertainty in front of this week’s Fed decision.
Needless to say and already mentioned, VXST is the big attention getter on the table below with a 24% gain last week. The Ten-Year futures dropped more in front of higher rates, but note that TYVIX, which closed[...]

VIX was higher and all VIX futures were lower last week. We have been in a pretty steep state of contango which flattened a bit. However, there are expectations that April will remain elevated due to market conditions in Europe. This will be explained a little more below.
The VSTOXX term structure appears below and note the elevated April futures contract price relative to the spot index (it’s impossible to miss). This shape has been around for a while now and we’ll[...]

Last week small cap stocks took it on the chin with the Russell 2000 (RUT) dropping about 2.5% while the Russell 1000 (RUI) actually gained about 0.7%. The divergence between the two widened to over 5% with RUI in the lead for 2017.
VIX gained a bit last week which narrowed the gap between the CBOE Russell 2000 Volatility Index (RVX) and VIX to around 40%. This is low by 2017 standards, but still pretty high relative to the long-term history of these two indexes.
The[...]

Eric Rains from BlueMountain Capital and Stewart Warther from BNP Paribas split duties for a session titled US Dispersion: Stocks, Sectors, and Index and a Changing Rate Environment. As many of the sessions this week referred to the imminent rate hike next week the attendance for this session was quite high.
Both participants split duties on a single presentation. They gave an overview of recent price action noting that rate sensitivity has become a more important factor[...]

Ilya Feygin from WallachBeth Capital and Stacey Gilbert from Susquehanna split duties for a well-attended session at today’s CBOE Risk Management Conference titled Determining Edge in Options Trading – an Application of the Kelly Criterion. The topic was fresh in everyone’s minds as Ed Thorp, a pioneer of using the Kelly Criterion, was our keynote speaker the day before.
Feygin began the session explaining at a very high level the Kelly Criterion. In very simple[...]

Pravit Chintawongvanich from Macro Risk Advisors teamed up with RMC veteran Scott Maidel for a discussion titled SPX Weeklys: Market Analysis and Long and Short Applications today at CBOE’s Risk Management Conference in Dana Point, CA.
Pravit’s presentation started out discussing event pricing of Weekly options. He actually used Euro Stoxx 50 option premium differences before and after the pending French election. This is a very timely example of how implied volatility[...]

Jeremy Attali from Captstone Investment Advisors, David Liebowitz from Aroya Capital, and Ramon Verastegui from Societe Generale divided up duties in a discussion at CBOE’s Risk Management Conference titled, “Focus on VIX Options”. This session focused on a the evolution of VIX options as a speculative and risk management tool, discussed strategies for insurance, yield, or just having a particular market outlook, and what makes VIX options unique and how to deal with the special[...]

Maneesh Deshpande from Barclays and Tim Edwards from S&P Dow Jones Indices combined forces to deliver a presentation titled Impact of Flows on Cash and Derivatives Markets: Myths and Realities. I’ve always been a sucker for presentations that use the phrase Myths and Realities and this part of RMC lived up to my expectations.
Deshpande started out talking about the impact of flows on the equity markets. With respect to volatility target funds he stated that they are targeting[...]

The first session of day three at the 33rd Annual CBOE Risk Management Conference was a panel discussing covering predictive analytics in investing with a focus on social media commentary. As the moderator, Angela Miles, Owner and Executive Producer of Business First AM, kicked things off using Donald Trump’s December 6th tweet as an example of the potential impact of social media commentary moving markets.
The panelists were a diverse group. Joe Gits is CEO and Co-Founder[...]

Today at CBOE Risk Management Conference John-Mark Piampiano from Seaport Global Securities and David Rogal from Blackrock split duties in a session titled Cross-Asset Volatility Trading: Relationships Between Credit Spreads, Fixed Income Volatility, and Equity Volatility.
Rogal started things off discussing the relationship between credit spreads and equity volatility. He noted and demonstrated that credit spreads and equity volatility have exhibited a very close relationship over time. [...]

The Options Out of This Country session at CBOE RMC today focused on international indexes, the economics of dollar denominated ETF options, and FX equity correlations. Rocky Fishman from Deutsche Bank, Ricardo Manrique from MSCI, and Yoav Sharon from Driehaus Capital Management split presentation duties for this discussion.
Manrique kicked things off discussing the growth of international markets. One interesting statistic noted that in 1988 emerging markets represented 1% of[...]

Henry Schwartz, President of Trade Alert led a panel discussion on sourcing liquidity at today’s Risk Management Conference in Dana Point, CA. The panelists were William Bartlett from Parallex Volatility Advisors, Jean Cayla from Optiver, Michael Khouw of Optimize Advisors and Tradelegs, and Stephen Solaka from Belmont Capital Group.
The session started off with a presentation covering trends in the option industry with respect to volume and order types. One interesting statistic[...]

The final session of the first day of CBOE RMC was a panel discussion titled “Real Money: Institutional Liabilities and How Options Strategies Can Help” moderated by Jon Havice from DGV Solutions. The panelists were Neil Rue from Pension Consulting Alliance LLC, Adam J. Smith, CFA, CAIA, from Mercy Health, and David Warn from The University of Chicago Office of Investments.
Jon Havice started things off with a discussion of institutional liabilities in the form of defined[...]

Other Cboe Sites

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker or from The Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606. The information on this website is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in the website information. No statement within the website should be construed as a recommendation to buy or sell a security or to provide investment advice. The inclusion of non-Cboe advertisements on the website should not be construed as an endorsement or an indication of the value of any product, service, or website. The Terms and Conditions govern use of this website and use of this website will be deemed acceptance of those Terms and Conditions.